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eISBN : 9783540765936

Sommaire : Acknowledgements
Abbreviations
Commonly Used Symbols
1 Introduction

2 Bond Market Terminology

3 Term Structure Modeling in Continuous Time
3.1 Introduction
3.2 Interest Rate Modeling Approaches
3.3 Heath/Jarrow/Morton (1992)
3.4 Vasicek (1977)
3.5 Hull/White (1994)
3.6 Summary and Conclusion

4 Static Bond Portfolio Optimization
4.1 Introduction
4.2 Static Bond Portfolio Selection in Theory
4.3 Static Bond Portfolio Selection in Practice

5 Dynamic Bond Portfolio Optimization in Continuous Time
5.1 Introduction
5.2 Bond Portfolio Selection Problem in a HJM Framework
5.3 Special Cases
5.4 International Bond Investing
5.5 Summary and Conclusion

6 Summary and Conclusion

A Heath/Jarrow/Morton (1992)
A.1 Dynamics of Zero-Coupon Bonds
A.2 Arbitrage-Free Pricing
A.3 HJM Drift Condition
A.4 Special Case: Hull/White (1994)
B Dynamic Bond Portfolio Optimization
C Dynamic Bond Portfolio Optimization
C.1 Vasicek (1977)
C.2 Hull/White (1994)
C.3 International Bond Portfolio Selection
References
List of Tables
List of Figures

Langue : Anglais

Localisation : Bibliothèque Campus de Nice

Support : Numérique

Etat : Présent

Propriétaire : Bibliothèque